A Generalized Method of Moments Estimator for a Spatial Panel Model with an Endogenous Spatial Lag and Spatial Moving Average Errors
AbstractAbstract This paper proposes a new generalized method of moments (GMM) estimator for spatial panel models with spatial moving average errors combined with a spatially autoregressive dependent variable. Monte Carlo results are given suggesting that the GMM estimator is consistent. The estimator is applied to English real estate price data.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Spatial Economic Analysis.
Volume (Year): 3 (2008)
Issue (Month): 1 ()
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Find related papers by JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Production Analysis, and Firm Location - - - Housing Supply and Markets
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